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My clients who are a Large Dutch Commercial Bank are currently looking for a Credit Risk modeler to join their Modelling & Data Analytics team.
The team is responsible for the regulatory corporate credit risk models, bank-wide stress testing, PD and LGD IFRS9 corporate models, counterparty credit risk modeling (incl. EE, PFE and CVA/DVA) as well as has a leading role in the ongoing bank-wide transformational change programs. Within the diverse team, you will have the opportunity to make an immediate impact by playing a pivotal role in the implementation of the future model landscape and the redevelopment of the corporate IRB framework. You will have the opportunity to broaden your model development skills as well as closely collaborate with our commercial teams, other risk teams, Finance and IT.
What should you like and what will you do?
*Co-lead the redevelopment of the IRB model framework, (Re-) development of PD, LGD and EAD models for corporate exposures.
*Proactive role in the hands-on data analysis & Proactively initiate methodological updates in response to changes in regulations.
*Knowledge sharing within the team and other stakeholders
*Be part of the internal Methodology Advisory Group which is responsible for advising the Risk Management Committee on methodological developments
*Take part in the discussions with external stakeholders such as DNB, auditors and Global Credit Data
*Ongoing liaison with Corporate Bank Portfolio Management, Finance, IT and other credit risk modelers
*Opportunities to take part in bank-wide projects that span over several knowledge domains and require effective communication at all organizational levels
*Further modernize and optimize the credit risk modelling process
Who are we looking for?
*Our ideal candidate is a self-starter and a big picture thinker with attention to detail
*Minimum 4 years of credit risk modelling experience
*Experience with risk/regulatory projects, preferably within the credit risk modeling domain
*Matlab and/or Python programming skills
*Background in IFRS 9 modelling is preferable
*Good communication skills (English)
*A positive 'can do' mentality; no-nonsense approach/ getting things done efficiently/ making complex things easy to understand
Credit Risk Modeller
- Location Amsterdam
- Job type Permanent
- Salary Negotiable
- Discipline Investment Banking
- Reference PR/267092_1592322971
The team is responsible for the regulatory corporate credit risk models, bank-wide stress testing, PD and LGD IFRS9 corporate models, counterparty credit risk modeling (incl. EE, PFE and CVA/DVA) as well as has a leading role in the ongoing bank-wide transformational change programs. Within the diverse team, you will have the opportunity to make an immediate impact by playing a pivotal role in the implementation of the future model landscape and the redevelopment of the corporate IRB framework. You will have the opportunity to broaden your model development skills as well as closely collaborate with our commercial teams, other risk teams, Finance and IT.
What should you like and what will you do?
*Co-lead the redevelopment of the IRB model framework, (Re-) development of PD, LGD and EAD models for corporate exposures.
*Proactive role in the hands-on data analysis & Proactively initiate methodological updates in response to changes in regulations.
*Knowledge sharing within the team and other stakeholders
*Be part of the internal Methodology Advisory Group which is responsible for advising the Risk Management Committee on methodological developments
*Take part in the discussions with external stakeholders such as DNB, auditors and Global Credit Data
*Ongoing liaison with Corporate Bank Portfolio Management, Finance, IT and other credit risk modelers
*Opportunities to take part in bank-wide projects that span over several knowledge domains and require effective communication at all organizational levels
*Further modernize and optimize the credit risk modelling process
Who are we looking for?
*Our ideal candidate is a self-starter and a big picture thinker with attention to detail
*Minimum 4 years of credit risk modelling experience
*Experience with risk/regulatory projects, preferably within the credit risk modeling domain
*Matlab and/or Python programming skills
*Background in IFRS 9 modelling is preferable
*Good communication skills (English)
*A positive 'can do' mentality; no-nonsense approach/ getting things done efficiently/ making complex things easy to understand